sliding window problem

[charles sugihara]

Hi All (again)-
  i am having a problem getting this to work, i got it to work when  
calculating percentage correct windows (see my last post)...
line 23 of "do_x_day_averages.m" would read "retval(i) =  
wins/(wins/losses);"
  but, in trying to replace "wins" with "returns" i expected to compute  
the average, actually the net/n, i.e not returns divided by 64 but  
returns divided by total number of actions (not necessarily 64 in a  
64-day window).
  i suspect i am not defining "returns" correctly in  
"do_x_day_averages.m"?  or maybe i need to create a variable like  
"counter" and add up the absolute value of "action_col" in the 64-day  
window?  any comments or help is greatly appreciated
Thank You,
 Max
---------------------------------------------------------
here are the errors...
octave:1> global blk
octave:2> blk = load('small.block');
octave:3> make_64_averages
error: `do_x_day_averages' undefined near line 6 column 21
error: near line 6 of file  
`/Users/sugi/work/octave/help/make_64_averages.m'
octave:3> make_64_averages
error: A(I) = X: X must be a scalar or a vector with same length as I
error: assignment failed, or no method for `matrix = matrix'
error: evaluating assignment expression near line 23, column 14
error: evaluating if command near line 22, column 2
error: evaluating if command near line 13, column 7
error: evaluating if command near line 11, column 5
error: evaluating for command near line 10, column 3
error: called from `do_x_day_averages' in file  
`/Users/sugi/work/octave/help/do_x_day_averages.m'
error: near line 6 of file  
`/Users/sugi/work/octave/help/make_64_averages.m'
octave:3>
------------------------------------------------------------------------ 
---------
here is a sample of "small.block"
[charles-sugiharas-Computer:~/work/octave/help] sugi% head small.block
20000117 0 0.25
20000118 0 0.71875
20000119 -1 0.0625
20000120 1 -0.65625
20000121 1 0.21875
20000124 1 0.8125
20000125 -1 -0.28125
20000126 1 0.3125
20000127 1 0.09375
20000128 1 0.15625
------------------------------------------------------------------------ 
----------
here is "real_ranges.m"
xx=[1:1203];
yy=[1205:2458];
------------------------------------------------------------------------ 
----------
here is "mk_64_averages.m"
real_ranges;

average_64day = zeros(max(size(blk)), 1);

count = 1;
[average, ranges] = do_x_day_averages(xx, 64, 2, 3);
average_64day(xx) = average;
lib(count, 1) = ranges(1);
lib(count, 2) = ranges(2);
count++;

[average, ranges] = do_x_day_averages(yy, 64, 2, 3);
average_64day(yy) = average;
lib(count, 1) = ranges(1);
lib(count, 2) = ranges(2);
count++;
------------------------------------------------------------------------ 
-----------
here is "do_x_day_averages.m"
function [retval,newrange] = do_x_day_averages(inst_range, x,  
action_col, return_col)
  global blk;

  retval = zeros(max(size(inst_range)),1);

  window = zeros(x,1);
  num_in_window = 0;
  firstindex = 0;

  for i = 1:max(size(inst_range))
    if (blk(inst_range(i), action_col) != 0)
      window(++num_in_window) = inst_range(i);
      if (num_in_window == x)

        if (firstindex == 0)
          firstindex = inst_range(i);
        endif

        returns = blk(window, action_col) .* blk(window, return_col);
        wins = max(size(find(returns>0)));
        losses = max(size(find(returns < 0)));
        if ((wins + losses) != 0)
          retval(i) = returns/(wins+losses);
        else
          retval(i) = 0;
        end

        window(1:(x-1)) = window(2:x);
        num_in_window--;
      endif
    else
      if (i > 1)
        retval(i) = retval(i-1);
      endif
    endif
  endfor

  newrange=[firstindex, inst_range(max(size(inst_range)))];
endfunction
------------------------------------------------------------------------ 
--------------------------



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